Maximum likelihood estimation of the parameters of a system of stochastic differential equations that models the returns of the index of some classes of hedge funds

Journal of Inverse and Ill-Posed Problems

Volumn 15, Issue 5, 2007, Pages 493-526

  Fatone, L ^a   Mariani, F ^b   Recchioni, M C ^c   Zirilli, F ^b  

^a UNIVERSITY OF MODENA AND REGGIO EMILIA   (Italy)

^b SAPIENZA UNIVERSITY OF ROME   (Italy)

^c UNIVERSITÀ POLITECNICA DELLE MARCHE   (Italy)

Author keywords

Inverse problem for PDE; Maximum likelihood estimation; Stochastic differential equation; Wavelets

Indexed keywords

EID: 36849007335     PISSN: 09280219     EISSN: None     Source Type: Journal    
DOI: 10.1515/JIP.2007.028     Document Type: Article

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